The role of national culture in stock volatility: evidence from international stock markets

Wajeeha Baig, Zia-ur-Rehman Rao, Mahnoor Fatima and Muhammad Usman

Global Business and Economics Review, 2024, vol. 31, issue 1, 44-61

Abstract: This research aims to examine the impact of national culture on the stock market volatility of international stock markets. By using the daily data from 50 international stock markets from 2011 to 2020, we have examined monthly stock market volatility through realised volatility (RV). We have checked the impact of Hofstede's six cultural dimensions, namely individualism, masculinity, uncertainty avoidance, long-term orientation, power distance, and indulgence on the stock market volatility of major world indices. To check whether national culture has an impact on volatility or not, different regression models were run. Finally, the findings of our study show that six cultural dimensions have different significant influences on the stock market volatility of international stock markets. The findings of this study can assist investors in determining the strategy for limiting their risk in an international diversification portfolio and is also useful to identify which market conditions are appropriate for investment.

Keywords: cultural dimensions; stock markets; realised volatility; major world indices. (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=139313 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:31:y:2024:i:1:p:44-61

Access Statistics for this article

More articles in Global Business and Economics Review from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().